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External cycles and commodities in Latin America and the Caribbean: a cointegration analysis with breaks

Author

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  • Delbianco, Fernando
  • Fioriti, Andrés
Abstract
In this paper, we seek to characterize the relationship between the cyclical behavior of foreign accounts and commodity price indexes for Latin America and the Caribbean. Using several tests of stationarity that allow for the presence of breaks, we conclude that commodity prices are cointegrated with the current accounts in Latin American countries, suggesting that developmentalism plans did not obtain the desired productive diversification and that the region still relies heavily on commodities to determine its foreign position. Another important result supports the findings of Delbianco and Fioriti (2014, 2015) that the region had suffered two sudden stops in the last 60 years, both driven by shifts in commodity prices. Resumen En este trabajo se busca caracterizar la relación entre los comportamientos cíclicos de la cuenta corriente y los índices de precios de los productos básicos (commodities) para América Latina y el Caribe. Usando diferentes test de estacionariedad que permiten la presencia de quiebres, se encuentra evidencia de que los precios de los commodities se encuentran cointegrados con las cuentas corrientes de los países de Latinoamérica, lo que sugiere que los planes desarrollistas no generaron la diversificación productiva deseada y que la posición externa de la región todavía depende fuertemente de los productos básicos. Los resultados también apoyan los hallazgos de Delbianco y Fioriti (2014, 2015) que sostienen que la región ha sufrido dos quiebres estructurales en los últimos 60 anos, ambos derivados de cambios en los precios de los commodities.

Suggested Citation

  • Delbianco, Fernando & Fioriti, Andrés, 2018. "External cycles and commodities in Latin America and the Caribbean: a cointegration analysis with breaks," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 88, pages 51-76, January.
    • Handle: RePEc:col:000174:016022
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    Cited by:

    1. Martín Leandro Dutto Giolongo & Emiliano A. Carlevaro & Juan Jullier & Marcos Narváez, 2020. "Board-related corporate governance practices and performance of Argentine banks," Asociación Argentina de Economía Política: Working Papers 4340, Asociación Argentina de Economía Política.
    2. Fernando Delbianco & Andrés Fioriti & Germán González, 2020. "Exploring the geographical bias of manufactured exports in MERCOSUR," Asociación Argentina de Economía Política: Working Papers 4339, Asociación Argentina de Economía Política.
    3. Vincenzo Candila & Salvatore Farace, 2018. "On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets," Risks, MDPI, vol. 6(4), pages 1-16, October.

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    More about this item

    Keywords

    sector externo; quiebres estructurales; cointegración; América Latina;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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